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Article: Optimal asset allocation: Risk and information uncertainty

TitleOptimal asset allocation: Risk and information uncertainty
Authors
Issue Date2016
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejor
Citation
European Journal of Operational Research, 2016, v. 251 n. 2, p. 554-561 How to Cite?
AbstractIn asset allocation problem, the distribution of the assets is usually assumed to be known in order to identify the optimal portfolio. In practice, we need to estimate their distribution. The estimations are not necessarily accurate and it is known as the uncertainty problem. Many researches show that most people are uncertainty aversion and this affects their investment strategy. In this article, we consider risk and information uncertainty under a common asset allocation framework. The effects of risk premium and covariance uncertainty are demonstrated by the worst scenario in a set of measures generated by a relative entropy constraint. The nature of the uncertainty and its impacts on the asset allocation are discussed.
Persistent Identifierhttp://hdl.handle.net/10722/231318
ISSN
2015 Impact Factor: 2.679
2015 SCImago Journal Rankings: 2.595

 

DC FieldValueLanguage
dc.contributor.authorYam, SCP-
dc.contributor.authorYang, H-
dc.contributor.authorYuen, FL-
dc.date.accessioned2016-09-20T05:22:17Z-
dc.date.available2016-09-20T05:22:17Z-
dc.date.issued2016-
dc.identifier.citationEuropean Journal of Operational Research, 2016, v. 251 n. 2, p. 554-561-
dc.identifier.issn0377-2217-
dc.identifier.urihttp://hdl.handle.net/10722/231318-
dc.description.abstractIn asset allocation problem, the distribution of the assets is usually assumed to be known in order to identify the optimal portfolio. In practice, we need to estimate their distribution. The estimations are not necessarily accurate and it is known as the uncertainty problem. Many researches show that most people are uncertainty aversion and this affects their investment strategy. In this article, we consider risk and information uncertainty under a common asset allocation framework. The effects of risk premium and covariance uncertainty are demonstrated by the worst scenario in a set of measures generated by a relative entropy constraint. The nature of the uncertainty and its impacts on the asset allocation are discussed.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejor-
dc.relation.ispartofEuropean Journal of Operational Research-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.titleOptimal asset allocation: Risk and information uncertainty-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.ejor.2015.11.011-
dc.identifier.hkuros263487-
dc.identifier.volume251-
dc.identifier.issue2-
dc.identifier.spage554-
dc.identifier.epage561-
dc.publisher.placeNetherlands-

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